VICR Options History — November 2023

In November 2023, VICR traded between $36.29 and $39.96. ATM implied volatility averaged 46.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 54.0% (HV 20d: 100.3%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2023-11-09: Highest Volume — 351 contracts
  • 2023-11-02: Largest IV drop — 45.7% change
  • 2023-11-01: Highest IV Rank — 41.9%
  • 2023-11-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.91$36.29$39.96$36.93$36.44
Max Pain$39.05$35.00$50.00$50.00$35.00
ATM IV46.3%33.4%61.6%61.6%45.8%
Expected Move13.5%11.6%17.7%17.7%13.1%
HV 20d100.3%45.4%123.7%119.3%45.4%
HV 60d75.4%73.9%76.4%73.9%76.3%
IV Rank19.5%0.5%41.9%41.9%18.7%
IV Percentile23.5%0.4%82.1%82.1%21.0%
Term Structure-0.6%-17.1%9.6%-17.1%-2.7%
VWIV45.8%32.1%50.6%32.1%45.3%
Skew 25d2.9%-2.7%19.5%10.8%-0.4%
Skew 10d0.8%-44.0%16.9%12.0%5.9%
Call IV 25d45.5%37.9%48.7%42.6%46.0%
Put IV 25d48.4%42.0%57.5%53.4%45.6%
Bid-Ask Spread %58.6332.2091.2270.8974.66
Gamma HHI0.280.200.430.200.27
Net GEX4.9K-32.0K33.4K-32.0K17.5K
Net DEX2.5M12.9K5.0M5.0M623.2K
Net VEX-14.8K-17.5K-11.7K-12.7K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.004.750.523.87
Total Volume136.194351143190
Total OI7,872.5713,80910,6769,9644,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$36.93$50.0061.6%17.7%119.3%41.9%32.1%10.8%-17.1%-32.0K5.0M-12.7K0.5270.89N/AN/A94497,3932,571
2023-11-02$38.12$40.0033.4%13.7%120.7%0.5%48.6%2.4%-1.2%-20.2K4.2M-11.7K0.3233.89N/AN/A188617,4722,417
2023-11-03$39.27$40.0043.1%13.4%121.8%14.7%47.7%1.7%0.1%-14.0K3.6M-14.2K0.3832.20N/AN/A140537,5972,379
2023-11-06$39.00$40.0045.4%13.4%121.7%18.1%46.8%3.0%-0.8%-9.4K3.8M-14.0K0.4448.05N/AN/A55247,6632,423
2023-11-07$38.70$40.0046.9%13.4%120.0%20.3%48.5%2.2%-1.3%-11.4K4.0M-13.3K1.1148.77N/AN/A37417,6862,446
2023-11-08$38.08$40.0046.6%13.4%119.9%19.9%47.9%2.2%-1.1%-10.5K4.2M-13.4K0.2749.37N/AN/A146397,7022,469
2023-11-09$36.29$40.0048.5%13.9%120.1%22.7%50.3%3.7%-1.2%-17.3K4.7M-12.2K0.2638.92N/AN/A278737,7892,483
2023-11-10$36.50$40.0047.9%13.7%120.0%21.8%47.7%3.4%-0.9%-12.3K4.1M-13.9K1.0850.15N/AN/A1301417,9282,476
2023-11-13$36.42$40.0047.7%13.7%119.5%21.5%50.6%2.9%-0.4%-5.5K4.1M-14.2K0.5043.92N/AN/A157788,0272,542
2023-11-14$39.05$40.0045.7%13.1%123.7%18.6%47.8%1.8%-1.1%9.6K2.6M-17.2K1.4987.58N/AN/A49738,1402,513
2023-11-15$39.48$40.0048.9%14.0%123.3%23.2%48.6%-0.2%-3.8%2.1K2.4M-17.5K0.2966.58N/AN/A161468,1522,524
2023-11-16$38.88$40.0046.2%13.2%123.3%19.3%45.9%1.5%-1.7%1752.7M-16.8K4.7591.22N/AN/A4198,1192,556
2023-11-17$38.79$40.0044.2%12.7%123.1%16.4%45.3%4.2%5.9%28.3K3.2M-17.0K0.3857.92N/AN/A29118,1172,546
2023-11-20$39.96$40.0044.0%12.6%123.1%16.1%44.6%1.5%-0.9%33.4K12.9K-16.6K0.0762.40N/AN/A2722,6611,148
2023-11-21$37.97$35.0057.6%16.5%123.5%36.1%42.5%19.5%9.6%25.6K517.3K-15.3K2.1885.42N/AN/A22482,6691,149
2023-11-22$37.87$40.0045.7%13.1%48.2%18.6%43.4%0.8%-1.5%24.5K758.6K-15.0K0.5548.95N/AN/A69382,6751,167
2023-11-24$37.54$35.0042.5%12.2%47.4%13.8%0.0%2.4%-0.8%23.3K724.2K-15.4K0.0058.19N/AN/A402,7281,180
2023-11-27$36.66$35.0043.2%12.4%47.3%15.0%45.2%-2.7%0.3%18.3K1.0M-14.2K1.2048.42N/AN/A64772,7321,176
2023-11-28$36.65$35.0040.5%11.6%47.1%10.9%43.0%-0.4%5.3%20.2K759.0K-14.6K0.3045.83N/AN/A66202,7611,180
2023-11-29$37.59$35.0047.0%13.5%47.6%20.4%44.9%0.2%3.1%32.6K101.0K-15.8K1.1987.95N/AN/A26312,8271,127
2023-11-30$36.44$35.0045.8%13.1%45.4%18.7%45.3%-0.4%-2.7%17.5K623.2K-15.2K3.8774.66N/AN/A391512,8301,184